public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
call = parser.GetInt("Call");
put = parser.GetInt("Put");
if (call < 0 || call >= inputs.Count)
{
return(false);
}
if (put < 0 || put >= inputs.Count)
{
return(false);
}
strike = parser.GetDouble("Strike");
type = parser.GetInt("Type");
inp_name = parser.GetString("input_name");
//inp_name_2 = parser.GetString("input_name_2");
/* if(inp_name_2 == inp_name)
* {
* inp_name_2 += "_n";
* }*/
this.inputs = inputs;
SyntheticFutureInput.AddKey(inp_name);
//SyntheticFutureInput.AddKey(inp_name_2);
return(true);
}
public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
//Strike = parser.GetInt("Strike");
Opt = parser.GetInt("Opt");
if (Opt < 0 || Opt >= inputs.Count)
{
return(false);
}
int period = parser.GetInt("period");
spread_col = new double[period];
spread_count = 0;
if (parser.GetInt("SpreadFilt") == 1)
{
filt_spread = true;
}
else
{
filt_spread = false;
}
midle_opt_price = 0;
koef = parser.GetDouble("SpreadKoef");
time_prev_spred = new DateTime();
this.inputs = inputs;
return(true);
}
public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
Strike = parser.GetInt("Strike");
Fut = parser.GetInt("Future");
Put = parser.GetInt("Put");
Call = parser.GetInt("Call");
if (Call < 0 || Call >= inputs.Count)
{
return(false);
}
if (Fut < 0 || Fut >= inputs.Count)
{
return(false);
}
if (Put < 0 || Put >= inputs.Count)
{
return(false);
}
int period = parser.GetInt("period");
x = new double[period];
if (parser.GetInt("SpreadFilt") == 1)
{
filt_spread = true;
}
else
{
filt_spread = false;
}
ready = false;
spread_col_call = new double[parser.GetInt("MidPricePutPeriod")];
koef = parser.GetDouble("SpreadKoef");
spread_col_put = new double[parser.GetInt("MidPriceCallPeriod")];
spread_count_call = 0;
spread_count_put = 0;
midle_opt_price_call = 0;
midle_opt_price_put = 0;
pos = 0;
sumx = 0;
time_prev_gap = new DateTime();
time_prev_spred_put = new DateTime();
time_prev_spred_call = new DateTime();
this.inputs = inputs;
return(true);
}
public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
ClosePositionStopTrade += Stop;
if (Models.InputItemInteractivBrokerModel.IB == null)
{
return(false);
}
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
zigzagid = parser.GetInt("ZigZag_ID");
zigzagidsmall = parser.GetInt("ZigZagSmall_ID");
if (zigzagid < 0 || zigzagid > Model.Project.Outputs.Count)
{
return(false);
}
if (zigzagidsmall < 0 || zigzagidsmall > Model.Project.Outputs.Count)
{
return(false);
}
gappos = parser.GetInt("Gap");
if (gappos < 0 || gappos > Model.Project.Outputs.Count)
{
return(false);
}
//Gap = Model.Project.Proccesors[gappos];
//Gap.ProcessorAction += PositionHandler;
//ZigZag = Model.Project.Proccesors[zigzagid];
//ZigZag.ProcessorAction += EventHandler;
MinValueSmall = new List <ProbaStruct>();
MaxValueSmall = new List <ProbaStruct>();
MinValueBig = new List <ProbaStruct>();
MaxValueBig = new List <ProbaStruct>();
PositionShort = new Position();
PositionLong = new Position();
name = parser.GetString("Name");
ratio = parser.GetDouble("Ratio");
tradeTerminal = new ModelsAT.BrokerMT(parser.GetInt("tradeTerminalID"));
tradeTerminal.setBrokerParam("Name", parser.GetString("ServerName"));
tradeTerminal.SetServer();
Size = parser.GetInt("Size");
if (parser.GetInt("IsReal") == 1)
{
tradeTerminal.isReal = true;
}
if (parser.GetInt("Logg") == 1)
{
LoggNeeded = true;
}
else
{
LoggNeeded = false;
}
//if (divergence > size || divergence == 0) return false;
openlongcloseshort = false;
openshortcloselong = false;
longlock = false;
shortlock = false;
profit_to_close = parser.GetInt("TakeProfit") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
lose_to_close = parser.GetInt("StopLoss") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
convergenceshort = false;
convergencelong = false;
divergenceshort = false;
divergencelong = false;
lastvalue = LastZigZagValue.NONE;
all_profit = 0;
openpos = OpenPosition.NONE;
ConvergenMin = new ProbaStruct();
ConvergenMax = new ProbaStruct();
Model.OutputsInitializeEnd += InitializeHandler;
Model.LoadSimulation += LoadSec;
return(true);
}
public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
ClosePositionStopTrade += Stop;
if (Models.InputItemInteractivBrokerModel.IB == null)
{
return(false);
}
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
zigzagid_1 = parser.GetInt("ZigZag_ID1");
if (zigzagid_1 < 0 || zigzagid_1 > Model.Project.Outputs.Count)
{
return(false);
}
zigzagid_2 = parser.GetInt("ZigZag_ID2");
if (zigzagid_2 < 0 || zigzagid_2 > Model.Project.Outputs.Count)
{
return(false);
}
zigzagid_2_2 = parser.GetInt("ZigZag_ID2_2");
gappos = parser.GetInt("Gap");
if (gappos < 0 || gappos > Model.Project.Outputs.Count)
{
return(false);
}
int t_t = parser.GetInt("type");
switch (t_t)
{
case (0):
trader_type = TradeType.STANDART;
break;
case (1):
trader_type = TradeType.IN_OUT;
break;
default:
trader_type = TradeType.ONE_IN_TWO_OUT;
break;
}
//Gap = Model.Project.Proccesors[gappos];
//Gap.ProcessorAction += PositionHandler;
//ZigZag = Model.Project.Proccesors[zigzagid];
//ZigZag.ProcessorAction += EventHandler;
divergenceOpen = parser.GetInt("DivergenceOpen");
divergenceClose = parser.GetInt("DivergenceClose");
convergen_counter = parser.GetInt("Convergence");
if (divergenceOpen < 0 || divergenceClose < 0 || convergen_counter < 0)
{
return(false);
}
MinValueOpen_1 = new List <ProbaStruct>();
MaxValueOpen_1 = new List <ProbaStruct>();
MinValueClose_1 = new List <ProbaStruct>();
MaxValueClose_1 = new List <ProbaStruct>();
MinValueOpen_2 = new List <ProbaStruct>();
MaxValueOpen_2 = new List <ProbaStruct>();
MinValueClose_2 = new List <ProbaStruct>();
MaxValueClose_2 = new List <ProbaStruct>();
MinValueOpen_2_2 = new List <ProbaStruct>();
MaxValueOpen_2_2 = new List <ProbaStruct>();
MinValueClose_2_2 = new List <ProbaStruct>();
MaxValueClose_2_2 = new List <ProbaStruct>();
PositionShort = new List <Position>();
PositionLong = new List <Position>();
name = parser.GetString("Name");
ratio = parser.GetDouble("Ratio");
profit_to_close = parser.GetInt("TakeProfit") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
lose_to_close = parser.GetInt("StopLoss") * Math.Pow(10, -Model.Project.Outputs[gappos].Digits);
ratio_exp = parser.GetDouble("Ratio_O");
tradeTerminal = new ModelsAT.BrokerMT(parser.GetInt("tradeTerminalID"));
tradeTerminal.setBrokerParam("Name", parser.GetString("ServerName"));
tradeTerminal.SetServer();
if (parser.GetInt("IsReal") == 1)
{
tradeTerminal.isReal = true;
}
else
{
tradeTerminal.isReal = false;
}
if (parser.GetInt("Logg") == 1)
{
LoggNeeded = true;
}
else
{
LoggNeeded = false;
}
if (parser.GetInt("Expand") == 1)
{
can_expand = true;
}
else
{
can_expand = false;
}
divergence_max_open = 0;
divergence_min_open = 0;
divergence_max_close = 0;
divergence_min_close = 0;
openlong = false;
openshort = false;
closelong = false;
expand_position_short = false;
expand_position_long = false;
closeshort = false;
lastvalue = LastZigZagValue.NONE;
all_profit = 0;
openpos = OpenPosition.NONE;
convergen_min = 0;
convergen_max = 0;
ConvergenMin = new ProbaStruct();
ConvergenMax = new ProbaStruct();
last_pos = new LastPosition();
Model.OutputsInitializeEnd += InitializeHandler;
Model.LoadSimulation += LoadSec;
return(true);
}